Table 5 Stock Price and Return Characteristics by Quarter after Downgrade in CAMEL Rating: Subsequent
RecoveryThe data reported on each of the
quarter-to-rating change lines (0 to 8) are calculated as simple averages for
all trading days in each quarter. If data required for any quarterly
calculation are missing, then they are omitted from the calculation. Excess
returns are calculated as the difference between the cumulative quarterly
return of each stock and the cumulative quarterly return of the various
indexes. T-statistics testing the hypothesis that the mean equals zero are
shown below many of the quarterly average return and change in return
statistics. A single, double, or triple "*" indicates significance at the 10%,
5%, and 1% levels, respectively.